Forecasting exchange rates in transition economies: A comparison of multivariate time series models

This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian vector error correction (BVEC) models in forecasting the exchange rates for five Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Polish Zloty, Slovak Koruna and Slovenian Tolar) against the Euro and the US dollar. Among the specifications composing this battery of multivariate time series models, those with the smallest prediction error still fail to reject the test of equality of forecasting accuracy against the random walk model in short-term predictions, with the exception of the Slovenian Tolar/Euro exchange rate.First version received: October 2002/Final version received: September 2003The authors are grateful to two anonymous referees and the participants in the workshop Monetary and Exchange Rate Strategies Related to the Current European Unions Enlargement Processes, held in Leuven in September 2000, for very helpful comments.     

宏观经济变化对利率期限结构的影响机制研究

利率期限结构的变化受到各种宏观经济因素的影响,本文通过建立结构VAR模型,发现宏观经济冲击对不同期限利率水平产生显著影响,但不同冲击产生的影响不同;水平、倾斜和曲度3个因素可以解释90%以上的利率曲线变化,但水平因素的解释能力与成熟市场相比较弱;利用脉冲反应和方差分解,发现实际经济变化主导着利率的倾斜因素和曲度因素的变化,而货币政策是影响利率水平因素变化的主要原因,对其他因素的影响较弱,这一点与发达国家的成熟市场存在较大差别。     

A new multiscale decomposition ensemble approach for forecasting exchange rates

Due to the high complexity and strong nonlinearity nature of foreign exchange rates, how to forecast foreign exchange rate accurately is regarded as a challenging research topic. Therefore, developing highly accurate forecasting method is of great significance to investors and policy makers. A new multiscale decomposition ensemble approach to forecast foreign exchange rates is proposed in this paper. In the approach, the variational mode decomposition (VMD) method is utilized to divide foreign exchange rates into a finite number of subcomponents; the support vector neural network (SVNN) technique is used to model and forecast each subcomponent respectively; another SVNN technique is utilized to integrate the forecasting results of each subcomponent to generate the final forecast results. To verify the superiority of the proposed approach, four major exchange rates were chosen for model comparison and evaluation. The experimental results indicate that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach outperforms some other benchmarks in terms of forecasting accuracy and statistical tests. This demonstrates that our proposed VMD-SVNN-SVNN multiscale decomposition ensemble approach is promising for forecasting foreign exchange rates.     

Modeling asymmetric price transmission in the European food market

In this study, we employ a multivariate panel error correction model (PVECM) to investigate asymmetric price transmission among the farm, processor, and retail segments of the European food supply chain for the 2005–2016 period. The results indicate that, in both the long- and short-run, retail prices respond more strongly to processor price increases than decreases and the same occurs for processor prices due to farm price changes. Thus, the findings demonstrate the presence of positive asymmetric price transmission in the European food supply chain. Finally, the results of the present study indicate that the food price pass-through varies greatly across product category and across countries, and that the pass-through to producer prices is greater than that to consumer prices.     

基于主成分分析和支持向量机的个人信用评估

本文针对信用评估指标维数较高的问题,运用主成分分析与支持向量机理论建立了一个新的个人信用评估预测模型。为反映该模型在信用评估分类方面的优越性,又分别建立了基于神经网络、K近邻判别分析等多种理论的信用评估模型,并用同一组数据对不同的模型分别进行训练,然后比较其预测分类正确率。实验结果表明,基于主成分分析与支持向量机理论的个人信用评估模型具有较优的预测分类正确率。     

A characterization of exact non-atomic market games

Continuous exact non-atomic games are naturally associated to certain operators between Banach spaces. It thus makes sense to study games by means of the corresponding operators. We characterize non-atomic exact market games in terms of the properties of the associated operators. We also prove a separation theorem for weak compact sets of countably additive non-atomic measures, which is of independent interest.     

讨论矩阵的特征值与行列式的关系

利用矩阵的特征值解决行列式的问题。     

单向索—板结构计算理论及参数影响

在理想线弹性范围内,推导了在竖向荷载作用下单向索-板结构内力计算的解析表达式。根据具体实例,分析矢高对单向索—板结构体系的影响。     

基于矢量控制的抽油机电力拖动系统仿真研究

游梁式抽油机是我国石油开采中最普遍使用的有杆泵采油地面设备之一,采取相应措施降低其能耗为多年来国内外研究的热点,近年来,矢量控制在变频调速中的应用日趋成熟,本文利用MATLAB软件成功实现了对游梁式抽油机电机拖动系统的仿真分析,对油田上最常见的三相异步电机进行了分析,搭建了矢量控制下的异步电机的数学模型,同时对抽油机的四连杆结构、三相异步电机建模,最后通过采取现场数据验证的方式证明了仿真的正确性,对今后矢量控制应用于抽油机电力拖动系统的节能改造提供了理论支持。     

变频器固定频率控制在超长链条输送线中的应用

XX公司为了降低从车间1到车间2输送物料的运输成本,在车间1和车间2之间建设了一条总长650米的链条输送线,用于物料的连续输送。由于原控制系统存在诸多缺陷,并缺乏及时的售后服务,特组织公司内外技术力量对该输送系统进行了技术研究,制定了"变频器多段固定频率控制"方案。本文主要介绍了该输送系统的功能、系统改造方案的具体设计及改造后系统的运行调试,实践证明该方案大大降低了故障率,提高了系统的稳定性。